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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

DECEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 99.9 102.0 103.4 102.5 * * *
Weighted Avg. Price 100.0 102.0 103.4 102.7 * * *
Avg. Price Bottom 5 Trades 97.5 102.0 103.4 102.4 * * *
2nd Quartile Price 100.0 102.0 103.4 102.8 * * *
3rd Quartile Price 100.0 102.0 103.4 102.9 * * *
4th Quartile Price 100.0 102.0 103.4 102.9 * * *
Avg. Price Top 5 Trades 100.1 102.1 103.5 102.8 * * *
Standard Deviation 0.6 0.0 0.0 0.7 * * *
     VOLUME OF TRADES (000'S) 2,807,380.4 8,084,197.2 1,430,597.8 7,429.8 * * *
     NUMBER OF TRADES 180 277 85 6 * * *
FHLMC
AVERAGE PRICE 99.6 102.1 103.4 * * * 0.0
Weighted Avg. Price 99.9 102.1 103.5 * * * 0.0
Avg. Price Bottom 5 Trades 98.2 102.0 103.2 * * * 0.0
2nd Quartile Price 100.0 102.0 103.5 * * * 0.0
3rd Quartile Price 100.0 102.0 103.5 * * * 0.0
4th Quartile Price 100.0 102.0 103.5 * * * 0.0
Avg. Price Top 5 Trades 100.0 102.2 103.5 * * * 0.0
Standard Deviation 0.9 0.2 0.3 * * * 0.0
     VOLUME OF TRADES (000'S) 678,856.4 1,589,938.6 261,789.0 * * * 0.0
     NUMBER OF TRADES 35 54 17 * * * 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JANUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 99.8 101.9 103.3 * * * *
Weighted Avg. Price 99.9 101.9 103.3 * * * *
Avg. Price Bottom 5 Trades 98.9 101.9 103.3 * * * *
2nd Quartile Price 99.9 101.9 103.3 * * * *
3rd Quartile Price 99.9 101.9 103.3 * * * *
4th Quartile Price 99.9 101.9 103.3 * * * *
Avg. Price Top 5 Trades 100.0 102.0 103.3 * * * *
Standard Deviation 0.4 0.0 0.0 * * * *
     VOLUME OF TRADES (000'S) 2,508,916.6 7,023,588.2 1,193,408.1 * * * *
     NUMBER OF TRADES 62 91 44 * * * *
FHLMC
AVERAGE PRICE 99.5 101.9 103.4 * * * 0.0
Weighted Avg. Price 99.8 101.9 103.4 * * * 0.0
Avg. Price Bottom 5 Trades 99.1 101.9 103.4 * * * 0.0
2nd Quartile Price 99.9 101.9 * * * * 0.0
3rd Quartile Price 99.9 101.9 * * * * 0.0
4th Quartile Price 99.9 101.9 * * * * 0.0
Avg. Price Top 5 Trades 99.9 101.9 103.4 * * * 0.0
Standard Deviation 1.0 0.0 0.0 * * * 0.0
     VOLUME OF TRADES (000'S) 602,830.0 1,316,289.3 214,312.0 * * * 0.0
     NUMBER OF TRADES 21 35 5 * * * 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 99.8 101.8 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 99.8 101.8 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.8 101.8 * 0.0 0.0 0.0 0.0
2nd Quartile Price 99.8 101.8 * 0.0 0.0 0.0 0.0
3rd Quartile Price 99.8 101.8 * 0.0 0.0 0.0 0.0
4th Quartile Price 99.8 101.8 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.8 101.8 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 93,500.0 261,050.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 12 36 * 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MARCH Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

DECEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 96.4 100.0 102.8 104.8 106.9 107.9 110.6
Weighted Avg. Price 96.3 100.0 102.8 104.7 106.9 107.9 110.2
Avg. Price Bottom 5 Trades 96.3 99.9 102.8 104.7 106.8 107.8 110.1
2nd Quartile Price 96.3 99.9 102.8 104.7 106.9 107.9 110.1
3rd Quartile Price 96.3 99.9 102.8 104.7 106.9 107.9 110.2
4th Quartile Price 96.4 100.0 102.9 104.8 106.9 108.0 112.0
Avg. Price Top 5 Trades 96.4 100.1 103.1 104.8 106.9 108.0 112.0
Standard Deviation 0.1 0.0 0.0 0.0 0.0 0.1 0.9
     VOLUME OF TRADES (000'S) 975,389.5 13,268,299.0 34,380,972.6 20,870,466.6 4,739,305.7 378,955.7 592,566.1
     NUMBER OF TRADES 33 518 1,236 750 251 30 23
FHLMC
AVERAGE PRICE 96.3 100.0 102.8 104.7 106.6 107.7 110.2
Weighted Avg. Price 96.3 100.0 102.8 104.7 106.6 107.7 110.7
Avg. Price Bottom 5 Trades 96.3 99.9 102.8 104.7 106.5 107.7 109.5
2nd Quartile Price * 99.9 102.8 104.7 106.6 107.7 109.8
3rd Quartile Price * 100.0 102.8 104.7 106.6 107.7 109.8
4th Quartile Price * 100.0 102.8 104.7 106.6 107.8 109.8
Avg. Price Top 5 Trades 96.3 100.1 102.9 104.8 106.7 107.8 111.1
Standard Deviation 0.1 0.1 0.0 0.0 0.1 0.0 1.0
     VOLUME OF TRADES (000'S) 12,596.3 7,487,041.3 9,166,073.8 8,239,973.2 1,328,608.6 127,236.1 206,818.2
     NUMBER OF TRADES 6 154 182 220 52 22 20
GNMA
AVERAGE PRICE 99.3 101.0 103.7 104.5 105.5 107.4 *
Weighted Avg. Price 100.1 101.0 103.7 104.5 105.4 107.5 *
Avg. Price Bottom 5 Trades 99.3 100.9 103.6 104.4 105.2 106.9 *
2nd Quartile Price * 100.9 103.6 104.4 105.3 107.0 *
3rd Quartile Price * 100.9 103.7 104.5 105.4 107.7 *
4th Quartile Price * 101.0 103.7 104.5 105.5 107.9 *
Avg. Price Top 5 Trades 99.3 101.7 104.1 105.0 106.2 107.9 *
Standard Deviation 1.5 0.2 0.1 0.1 0.4 0.5 *
     VOLUME OF TRADES (000'S) 26,938.4 8,676,610.5 6,855,346.2 5,533,345.9 706,587.0 203,761.0 *
     NUMBER OF TRADES 5 161 227 231 45 14 *
JANUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 96.3 99.8 102.7 104.6 106.7 107.9 110.5
Weighted Avg. Price 96.3 99.8 102.7 104.6 106.7 107.9 110.2
Avg. Price Bottom 5 Trades 96.2 99.8 102.6 104.6 106.6 107.7 110.1
2nd Quartile Price 96.2 99.8 102.7 104.6 106.7 107.8 110.1
3rd Quartile Price 96.2 99.8 102.7 104.6 106.7 107.9 110.1
4th Quartile Price 96.3 99.9 102.7 104.6 106.7 107.9 111.9
Avg. Price Top 5 Trades 96.3 100.0 102.8 104.8 106.7 108.0 111.7
Standard Deviation 0.1 0.0 0.0 0.0 0.0 0.1 0.8
     VOLUME OF TRADES (000'S) 952,523.0 12,264,779.1 34,663,455.5 20,123,678.3 6,162,757.5 378,248.2 588,520.6
     NUMBER OF TRADES 31 284 750 493 225 30 19
FHLMC
AVERAGE PRICE * 99.9 102.7 104.6 106.5 107.6 110.2
Weighted Avg. Price * 99.8 102.7 104.6 106.5 107.6 110.6
Avg. Price Bottom 5 Trades * 99.8 102.6 104.6 106.4 107.5 109.7
2nd Quartile Price * 99.8 102.7 104.6 106.5 107.6 109.7
3rd Quartile Price * 99.8 102.7 104.6 106.5 107.6 109.7
4th Quartile Price * 99.9 102.7 104.6 106.5 107.6 112.0
Avg. Price Top 5 Trades * 100.0 102.7 104.7 106.6 107.6 110.4
Standard Deviation * 0.0 0.0 0.0 0.1 0.1 1.0
     VOLUME OF TRADES (000'S) * 7,237,620.7 10,821,580.9 7,037,212.1 1,351,437.0 116,350.0 206,141.6
     NUMBER OF TRADES * 135 167 176 45 20 18
GNMA
AVERAGE PRICE * 100.8 103.5 104.4 105.4 107.1 *
Weighted Avg. Price * 100.8 103.5 104.4 105.4 107.4 *
Avg. Price Bottom 5 Trades * 100.8 103.4 104.3 105.2 106.7 *
2nd Quartile Price * 100.8 103.5 104.4 105.2 106.7 *
3rd Quartile Price * 100.8 103.5 104.4 105.3 106.9 *
4th Quartile Price * 100.9 103.5 104.4 105.4 107.8 *
Avg. Price Top 5 Trades * 101.0 103.6 104.6 105.7 107.6 *
Standard Deviation * 0.1 0.0 0.1 0.2 0.6 *
     VOLUME OF TRADES (000'S) * 7,493,940.9 6,539,489.6 2,240,613.0 594,140.6 206,515.0 *
     NUMBER OF TRADES * 75 144 98 30 12 *
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 99.7 102.5 104.5 106.5 * 0.0
Weighted Avg. Price 0.0 99.7 102.5 104.5 106.5 * 0.0
Avg. Price Bottom 5 Trades 0.0 99.7 102.5 104.4 106.5 * 0.0
2nd Quartile Price 0.0 99.7 102.5 104.5 106.5 * 0.0
3rd Quartile Price 0.0 99.7 102.5 104.5 106.5 * 0.0
4th Quartile Price 0.0 99.8 102.5 104.5 106.6 * 0.0
Avg. Price Top 5 Trades 0.0 99.8 102.6 104.5 106.6 * 0.0
Standard Deviation 0.0 0.1 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 602,687.0 2,474,950.0 1,756,429.8 860,850.0 * 0.0
     NUMBER OF TRADES 0 37 319 144 35 * 0
FHLMC
AVERAGE PRICE 0.0 * 102.5 104.4 * * 0.0
Weighted Avg. Price 0.0 * 102.5 104.5 * * 0.0
Avg. Price Bottom 5 Trades 0.0 * 102.5 104.4 * * 0.0
2nd Quartile Price 0.0 * 102.5 104.4 * * 0.0
3rd Quartile Price 0.0 * 102.5 104.5 * * 0.0
4th Quartile Price 0.0 * 102.5 104.5 * * 0.0
Avg. Price Top 5 Trades 0.0 * 102.6 104.5 * * 0.0
Standard Deviation 0.0 * 0.0 0.0 * * 0.0
     VOLUME OF TRADES (000'S) 0.0 * 1,050,750.0 144,766.2 * * 0.0
     NUMBER OF TRADES 0 * 21 15 * * 0
GNMA
AVERAGE PRICE 0.0 100.7 103.4 104.4 105.2 * 0.0
Weighted Avg. Price 0.0 100.7 103.4 104.3 105.2 * 0.0
Avg. Price Bottom 5 Trades 0.0 100.6 103.3 104.3 105.2 * 0.0
2nd Quartile Price 0.0 100.6 103.3 104.3 * * 0.0
3rd Quartile Price 0.0 100.7 103.4 104.4 * * 0.0
4th Quartile Price 0.0 100.7 103.4 104.4 * * 0.0
Avg. Price Top 5 Trades 0.0 100.8 103.5 104.4 105.2 * 0.0
Standard Deviation 0.0 0.0 0.1 0.0 0.1 * 0.0
     VOLUME OF TRADES (000'S) 0.0 150,850.0 1,584,275.0 524,550.0 13,750.0 * 0.0
     NUMBER OF TRADES 0 43 158 65 5 * 0
MARCH Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * * 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.